chapter  28
6 Pages

- Inverse Gaussian Distribution

This distribution is usually denoted by IG(µ, λ). Using the standard normal distribution function Φ, the cumulative distribution function (cdf) of an IG(µ, λ) can be expressed as

F (x|µ, λ) = Φ (√

λ

x

( x

µ − 1 ))

+ e2λ/µΦ

( − √ λ

x

( x

µ + 1

)) , x > 0, (28.2)

where Φ(x) is the standard normal distribution function.